Bao, Jack; Edmans, Alex - In: Review of Financial Studies 24 (2011) 7, pp. 2286-2315
We document a significant investment bank fixed effect in the announcement returns of M&A deals. The interquartile range of bank fixed effects is 1.26%, compared with a full-sample average return of 0.72%. The results remain significant after controlling for the component of returns attributable...